Modeling Long-term Seasonality and Spikes of Spot Electricity Prices in Turkey
BOGAZİCİ JOURNAL: REVİEW OF SOCİAL, ECONOMİC AND ADMİNİSTRATİVE STUDİES, vol.28, no.2, pp.1-18, 2014 (Scopus, TRDizin)
- Publication Type: Article / Article
- Volume: 28 Issue: 2
- Publication Date: 2014
- Journal Name: BOGAZİCİ JOURNAL: REVİEW OF SOCİAL, ECONOMİC AND ADMİNİSTRATİVE STUDİES
- Journal Indexes: Scopus, TR DİZİN (ULAKBİM)
- Page Numbers: pp.1-18
- Akdeniz University Affiliated: No
Abstract
Stochastic models of electricity spot prices depend on price spikes and long-term seasonality. Therefore it is crucial to determine suitable methods for the identi?cation of price spikes and the modeling of long-term seasonal components (LTSC). Following recent studies (Janczura and Weron, 2010; Janczura et al., 2013), we compare the proportion of observations identi?ed as outliers for five different outlier detection methods and three approaches to long-term seasonality modeling. After removing the effects of outliers, we compare the out-of-sample forecasting performance for three categories of long-term seasonality models: dummies, Fourier series, and wavelet based methods. We consider various combinations of each approach and perform a comprehensive backtesting comparison at different forecasting horizons for the recently liberalized Turkish electricity market.